Option Explicit
Sub testme()

   Application.ScreenUpdating = False
     
   Dim wks As Worksheet
   Dim ColA As Range
   Dim ColB As Range
   Dim iRow As Long
   Dim myCols As Long
   
   Set wks = Worksheets("sheet1")
   wks.DisplayPageBreaks = False
   With wks
       'row 1 has headers!
       Set ColA = .Range("a2", .Cells(.Rows.Count, "A").End(xlUp))
       Set ColB = .Range("b2", .Cells(.Rows.Count, "B").End(xlUp))
               
       With ColA
           .Sort key1:=.Cells(1), order1:=xlAscending, header:=xlNo
       End With
     
       'change the mycols to the number of columns that
       'are associated with column B
       
       myCols = 1 ' columns B only
       With ColB.Resize(, myCols)
           .Sort key1:=.Cells(1), order1:=xlAscending, header:=xlNo
       End With
       
       iRow = 2
       Do
           If Application.CountA(.Cells(iRow, "A").Resize(1, 2)) = 0 Then
               Exit Do
           End If
           
           If .Cells(iRow, "A").Value = .Cells(iRow, "B").Value _
            Or Application.CountA(.Cells(iRow, "A").Resize(1, 2)) = 1 Then
               'do nothing
           Else
               If .Cells(iRow, "A").Value > .Cells(iRow, "B").Value Then
                   .Cells(iRow, "A").Insert shift:=xlDown
               Else
                   .Cells(iRow, "B").Resize(1, myCols).Insert shift:=xlDown
               End If
           End If
           iRow = iRow + 1
       Loop
   End With
   
   Application.ScreenUpdating = True
   
End Sub

If you're new to macros, you may want to read David McRitchie's intro at:
http://www.mvps.org/dmcritchie/excel/getstarted.htm

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Remember:  Both these techniques are useful if there are no duplicates in each
of the columns.